He wasn't trying to protest the dress code or make a scene, it wasn't on his mind at all. He had been out for an appearance with a sponsor during a break, then came back to the venue for the next round, and didn't notice that he was wearing jeans and it didn't cross his mind that that would be a violation.
The controversy was about exactly how the penalty is imposed. The rule is a fine for the first violation and disqualification for multiple. It wasn't clear if his appearance for the day would count as one violation (so he could just incur the fine and wear correct clothing tomorrow), or if each round would be a separate violation. It also wasn't clear if he could play while in violation or would be excluded from each round until he changed. Precedent from other events wasn't clear for either of these. He thought he was told he could continue, but then FIDE said he would be excluded from each round until he changed, and then he said f--- it and withdrew entirely.
Also, what he withdrew from was the Rapid tournament. He is now joining the Blitz event - a separate tournament at the same venue following the rapid.